You could receive a non-dividend cash distribution from a stock or a mutual fund. If you get that kind of return you'll see the amount in box 3 of the annual Form 1099-DIV from the distributor. It is similar to a dividend, but it represents a share of a company's capital rather than its earnings. This means that the shareholder’s original investment is being returned to the shareholder.
If you didn't have a gain from your non-dividend distribution there's nothing more to do. The IRS doesn't require taxpayers to report non-dividend distributions if they don't create a capital gain. That's usually the case because distributions tend to be smaller than the shareholder basis.